| Publication | Date of Publication | Type |
|---|
Finite sample limited information inference methods for structural equations and models with generated regressors
International Economic Review | 2026-02-04 | Paper |
Estimation and inference for higher-order stochastic volatility models with leverage
Journal of Time Series Analysis | 2025-10-24 | Paper |
| Generalized C() tests with nonstandard convergence rates | 2025-08-08 | Paper |
Wald tests when restrictions are locally singular
The Annals of Statistics | 2025-06-06 | Paper |
Identification-robust and simultaneous inference in multifactor asset pricing models
Journal of Econometrics | 2025-03-18 | Paper |
Exogeneity tests and weak identification in IV regressions: asymptotic theory and point estimation
Journal of Econometrics | 2025-03-18 | Paper |
High-frequency instruments and identification-robust inference for stochastic volatility models
Journal of Time Series Analysis | 2025-02-19 | Paper |
Factor-Augmented VARMA Models With Macroeconomic Applications
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Permutation Tests for Comparing Inequality Measures
Journal of Business and Economic Statistics | 2024-11-08 | Paper |
Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
Journal of Business and Economic Statistics | 2024-10-17 | Paper |
Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds
Journal of Econometrics | 2023-08-18 | Paper |
Simulation‐based finite sample normality tests in linear regressions
Econometrics Journal | 2023-07-07 | Paper |
Identification-robust inference for endogeneity parameters in linear structural models
Econometrics Journal | 2022-07-26 | Paper |
Identification-robust moment-based tests for Markov switching in autoregressive models
Econometric Reviews | 2022-06-08 | Paper |
Invariant tests based on<i>M</i>-estimators, estimating functions, and the generalized method of moments
Econometric Reviews | 2022-06-07 | Paper |
Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves
Econometric Reviews | 2022-03-09 | Paper |
Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors
Econometric Reviews | 2022-03-04 | Paper |
Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability
Communications in Statistics. Simulation and Computation | 2021-11-19 | Paper |
Simple estimators and inference for higher-order stochastic volatility models
Journal of Econometrics | 2021-07-30 | Paper |
Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
Journal of Econometrics | 2021-02-09 | Paper |
Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
Journal of Econometrics | 2021-02-09 | Paper |
Finite-sample inference and nonstandard asymptotics with Monte Carlo tests and R
Handbook of Statistics | 2020-08-18 | Paper |
Weak identification in probit models with endogenous covariates
AStA. Advances in Statistical Analysis | 2019-08-06 | Paper |
| A technical note on divergence of the Wald statistic | 2019-06-13 | Paper |
On the sensitivity of Granger causality to errors-in-variables, linear transformations and subsampling
Journal of Time Series Analysis | 2019-03-05 | Paper |
Identification-robust estimation and testing of the zero-beta CAPM
Review of Economic Studies | 2019-01-23 | Paper |
Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
Generalized \(C(\alpha)\) tests for estimating functions with serial dependence
Advances in Time Series Methods and Applications | 2017-07-31 | Paper |
Short and long run causality measures: theory and inference
Journal of Econometrics | 2016-07-25 | Paper |
Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models
Journal of Econometrics | 2016-07-04 | Paper |
Finite-sample simulation-based inference in VAR models with application to Granger causality testing
Journal of Econometrics | 2016-06-10 | Paper |
Short run and long run causality in time series: inference
Journal of Econometrics | 2016-06-10 | Paper |
Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
Journal of Econometrics | 2016-05-09 | Paper |
Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
Journal of Econometrics | 2016-04-25 | Paper |
Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
Journal of Econometrics | 2016-04-18 | Paper |
Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
Journal of Econometrics | 2015-12-29 | Paper |
| A regularized goodness-of-fit test for copulas | 2015-07-13 | Paper |
Exact confidence sets and goodness-of-fit methods for stable distributions
Journal of Econometrics | 2014-06-04 | Paper |
Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form
Computational Statistics and Data Analysis | 2014-04-14 | Paper |
Estimation uncertainty in structural inflation models with real wage rigidities
Computational Statistics and Data Analysis | 2014-04-14 | Paper |
| Wald tests when restrictions are locally singular | 2013-12-02 | Paper |
On the precision of Calvo parameter estimates in structural NKPC models
Journal of Economic Dynamics and Control | 2010-11-05 | Paper |
On a simple two-stage closed-form estimator for a stochastic volatility in a general linear regression
Advances in Econometrics | 2010-06-30 | Paper |
Finite sample multivariate tests of asset pricing models with coskewness
Computational Statistics and Data Analysis | 2010-03-30 | Paper |
Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
Econometrics Journal | 2010-02-12 | Paper |
| Tests for non-correlation of two infinite-order cointegrated vector autoregressive series | 2009-06-10 | Paper |
Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis
Journal of Economic Dynamics and Control | 2008-12-12 | Paper |
Instrument endogeneity and identification-robust tests: some analytical results
Journal of Statistical Planning and Inference | 2008-06-11 | Paper |
| Exact nonparametric two-sample homogeneity tests | 2008-02-08 | Paper |
Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
Econometrica | 2006-10-24 | Paper |
| Exact multivariate tests of asset pricing models with stable asymmetric distributions | 2006-02-13 | Paper |
Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
Journal of Econometrics | 2004-10-01 | Paper |
Simulation based finite and large sample tests in multivariate regressions
Journal of Econometrics | 2003-04-02 | Paper |
Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.
Journal of Econometrics | 2003-02-17 | Paper |
Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
Econometrica | 2002-05-28 | Paper |
Short Run and Long Run Causality in Time Series: Theory
Econometrica | 2002-05-28 | Paper |
Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes
Journal of Econometrics | 2000-01-01 | Paper |
Generalized runs tests for heteroscedastic time series
Journal of Nonparametric Statistics | 1998-11-15 | Paper |
Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter
International Economic Review | 1998-06-22 | Paper |
Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
Econometrica | 1998-05-10 | Paper |
Exact tests in single equation autoregressive distributed lag models
Journal of Econometrics | 1997-10-28 | Paper |
Exact tests for structural change in first-order dynamic models
Journal of Econometrics | 1996-02-12 | Paper |
Simplified conditions for noncausality between vectors in multivariate ARMA models
Journal of Econometrics | 1995-02-16 | Paper |
Improved Eaton Bounds for Linear Combinations of Bounded Radom Variables, With Statistical Applications
Journal of the American Statistical Association | 1994-07-26 | Paper |
On the relationship between impulse response analysis, innovation accounting and Granger causality
Economics Letters | 1994-04-26 | Paper |
Generalized Predictive Tests and Structural Change Analysis in Econometrics
International Economic Review | 1994-03-27 | Paper |
| Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models | 1993-05-16 | Paper |
Nonlinear models, rescaling and test invariance
Journal of Statistical Planning and Inference | 1993-01-17 | Paper |
Simple exact bounds for distributions of linear signed rank statistics
Journal of Statistical Planning and Inference | 1992-09-27 | Paper |
Invariance, Nonlinear Models, and Asymptotic Tests
Econometrica | 1992-06-28 | Paper |
Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
Journal of Econometrics | 1991-01-01 | Paper |
Over-rejections in rational expectations models. A non-parametric approach to the Mankiw-Shapiro problem
Economics Letters | 1991-01-01 | Paper |
Exact Tests and Confidence sets in Linear Regressions with Autocorrelated Errors
Econometrica | 1990-01-01 | Paper |
Nonlinear Hypotheses, Inequality Restrictions, and Non-Nested Hypotheses: Exact Simultaneous Tests in Linear Regressions
Econometrica | 1989-01-01 | Paper |
Corrigendum to: ``Some robust exact results on sample autocorrelations and tests of randomness''
Journal of Econometrics | 1989-01-01 | Paper |
Estimators of the disturbance variance in econometric models. Small- sample bias and the existence of moments
Journal of Econometrics | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4013810 (Why is no real title available?) | 1986-01-01 | Paper |
Generalized portmanteau statistics and tests of randomness
Communications in Statistics: Theory and Methods | 1986-01-01 | Paper |
Some robust exact results on sample autocorrelations and tests of randomness
Journal of Econometrics | 1985-01-01 | Paper |
Unbiasedness of Predictions from Estimated Autoregressions when the True Order is Unknown
Econometrica | 1984-01-01 | Paper |
Generalized Chow Tests for Structural Change: A Coordinate-Free Approach
International Economic Review | 1982-01-01 | Paper |
Recursive stability analysis of linear regression relationships. An exploratory methodology
Journal of Econometrics | 1982-01-01 | Paper |
Nonparametric testing for time series: A bibliography
The Canadian Journal of Statistics | 1982-01-01 | Paper |
RANK TESTS FOR SERIAL DEPENDENCE
Journal of Time Series Analysis | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3583700 (Why is no real title available?) | 1977-01-01 | Paper |
On spectral estimation for a homogeneous random process on the circle
Stochastic Processes and their Applications | 1976-01-01 | Paper |
| scientific article; zbMATH DE number 3438218 (Why is no real title available?) | 1974-01-01 | Paper |
